Strategy Zoo / S1545
PriceMomentum_V1545
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> -0.0676
Fitness
0.6948
Generation
71
Complexity
14
Created
2026-10-14
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.0062
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1545 [hybrid]
if flat and ((ret_20d > -0.0676 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > -0.0062)) or ret_20d > 0.184):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.5% | 115.9% | -12.4% | 17.8% |
| Total Return | 77.5% | 906.9% | -39.2% | 1019.3% |
| Sharpe | 0.40 | 2.10 | -0.29 | 0.68 |
| Sortino | 0.36 | 2.73 | -0.28 | 0.68 |
| Calmar | 0.18 | 4.45 | -0.20 | 0.28 |
| Volatility | 28.2% | 40.7% | 30.0% | 31.7% |
| Max DD | -41.5% | -26.1% | -63.1% | -63.1% |
| Win Rate | 40.4% | 42.5% | 26.6% | 36.5% |
| Avg Win | 6.6% | 23.5% | 6.4% | 11.0% |
| Avg Loss | -3.2% | -3.2% | -3.0% | -3.1% |
| Payoff | 2.03 | 7.40 | 2.13 | 3.49 |
| Expectancy | 0.7% | 8.2% | -0.5% | 2.0% |
| Profit Factor | 1.37 | 5.47 | 0.77 | 2.01 |
| Trades | 104 | 40 | 64 | 208 |
| Avg Holding Days | 10.0 | 12.6 | 8.0 | 10.1 |
| Turnover | 25.0 | 25.9 | 30.9 | 26.6 |
| Exposure | 40.2% | 49.9% | 39.1% | 41.9% |
Growth of $100
PriceMomentum_V1545 vs TSLA Buy & Hold
PriceMomentum_V1545 TSLA Buy & HoldIn-sampleValidationHidden test
Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | 8.6% | 0.66 | -12.7% | 3 |
| 2017 | 19.6% | 0.77 | -21.1% | 25 |
| 2018 | -22.2% | -1.26 | -27.7% | 9 |
| 2019 | 22.9% | 1.06 | -14.3% | 5 |
| 2020 | 425.3% | 3.70 | -21.0% | 13 |
| 2021 | 57.5% | 1.35 | -24.0% | 19 |
| 2022 | 3.0% | 0.25 | -26.1% | 8 |
A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.
Regime Performance
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 279 | -6.9% | -0.40 | 18% |
| hidden test | EXPENSIVE | 83 | 64.3% | 1.52 | 64% |
| hidden test | EXTREME | 48 | 62.3% | 1.57 | 47% |
| hidden test | HIGH VOLATILITY | 254 | -17.3% | -0.59 | 22% |
| hidden test | LOW VOLATILITY | 443 | 38.2% | 1.44 | 45% |
| hidden test | MEDIUM VOLATILITY | 251 | -82.5% | -2.32 | 47% |
| hidden test | NORMAL | 817 | -20.2% | -0.73 | 36% |
| hidden test | SIDEWAYS | 298 | -46.2% | -1.57 | 42% |
| hidden test | UPTREND | 371 | 20.1% | 0.54 | 52% |
| train | DOWNTREND | 518 | -7.1% | -0.41 | 10% |
| train | EXPENSIVE | 311 | 50.4% | 1.32 | 62% |
| train | EXTREME | 100 | 203.0% | 5.10 | 58% |
| train | HIGH VOLATILITY | 699 | 3.0% | 0.10 | 19% |
| train | LOW VOLATILITY | 745 | 39.3% | 1.59 | 56% |
| train | MEDIUM VOLATILITY | 568 | -15.5% | -0.51 | 46% |
| train | NORMAL | 1,601 | -8.4% | -0.34 | 35% |
| train | SIDEWAYS | 592 | -8.4% | -0.36 | 33% |
| train | UPTREND | 902 | 34.6% | 0.98 | 62% |
| validation | DOWNTREND | 125 | 46.2% | 2.32 | 11% |
| validation | EXPENSIVE | 138 | 83.6% | 1.73 | 66% |
| validation | EXTREME | 144 | 261.6% | 5.31 | 54% |
| validation | HIGH VOLATILITY | 258 | 70.5% | 1.88 | 24% |
| validation | LOW VOLATILITY | 183 | 61.6% | 2.25 | 66% |
| validation | MEDIUM VOLATILITY | 315 | 111.1% | 2.27 | 61% |
| validation | NORMAL | 474 | 32.2% | 0.93 | 44% |
| validation | SIDEWAYS | 206 | 17.9% | 0.52 | 45% |
| validation | UPTREND | 425 | 129.4% | 2.73 | 64% |
Trades (full period)
latest 100 of 208
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -2.61% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.74% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-03-05 | 2026-03-10 | $405.55 | $399.24 | -1.98% | 4 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -2.90% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.68% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.76% | 2 | |
| 2026-02-20 | 2026-02-23 | $411.82 | $399.83 | -0.17% | 2 | |
| 2026-02-18 | 2026-02-19 | $411.32 | $411.71 | -0.03% | 2 | |
| 2026-02-13 | 2026-02-17 | $417.44 | $410.63 | -0.11% | 2 | |
| 2026-02-11 | 2026-02-12 | $428.27 | $417.07 | 0.52% | 2 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.31% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.98% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -3.65% | 2 | |
| 2026-01-20 | 2026-01-21 | $419.25 | $431.44 | -4.37% | 2 | |
| 2026-01-12 | 2026-01-14 | $448.96 | $439.20 | 0.29% | 3 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.82% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.21% | 2 | |
| 2025-11-14 | 2025-11-17 | $404.35 | $408.92 | 0.39% | 2 | |
| 2025-10-28 | 2025-11-13 | $460.55 | $401.99 | -5.01% | 13 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 28.85% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 3.04% | 5 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-07 | 2025-07-10 | $293.94 | $309.87 | -2.34% | 4 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -2.59% | 3 | |
| 2025-06-20 | 2025-06-23 | $322.16 | $348.68 | -0.07% | 2 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.40% | 2 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | -2.19% | 27 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -1.70% | 3 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -7.04% | 8 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -2.37% | 2 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -3.59% | 2 | |
| 2025-01-31 | 2025-02-05 | $404.60 | $378.17 | -2.21% | 4 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -0.66% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -0.95% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -1.46% | 2 | |
| 2025-01-14 | 2025-01-15 | $396.36 | $428.22 | -0.79% | 2 | |
| 2024-11-06 | 2025-01-13 | $288.53 | $403.31 | 24.78% | 45 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -9.31% | 27 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | 0.04% | 22 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.16% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -4.84% | 9 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -3.07% | 2 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -2.48% | 2 | |
| 2023-11-16 | 2024-01-08 | $233.59 | $240.45 | -2.40% | 35 | |
| 2023-10-17 | 2023-10-18 | $254.85 | $242.68 | 0.17% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -13.05% | 10 | |
| 2023-05-25 | 2023-07-24 | $184.47 | $269.06 | 41.88% | 40 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 0.84% | 28 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.45% | 4 | |
| 2022-04-26 | 2022-04-27 | $292.14 | $293.84 | -12.37% | 2 | |
| 2022-04-22 | 2022-04-25 | $335.02 | $332.67 | -0.57% | 2 | |
| 2022-03-18 | 2022-04-21 | $301.80 | $336.26 | 11.90% | 24 | |
| 2022-03-03 | 2022-03-04 | $279.76 | $279.43 | -4.81% | 2 | |
| 2022-03-01 | 2022-03-02 | $288.12 | $293.30 | -0.90% | 2 | |
| 2022-01-03 | 2022-01-24 | $399.93 | $310.00 | 5.16% | 15 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.66% | 2 | |
| 2021-12-27 | 2021-12-29 | $364.65 | $362.06 | 1.81% | 3 | |
| 2021-12-15 | 2021-12-16 | $325.33 | $308.97 | 1.62% | 2 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -5.17% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -1.15% | 2 | |
| 2021-07-29 | 2021-12-01 | $225.78 | $365.00 | 64.23% | 88 | |
| 2021-07-26 | 2021-07-27 | $219.21 | $214.93 | 2.01% | 2 | |
| 2021-06-11 | 2021-07-23 | $203.30 | $214.46 | 6.20% | 30 | |
| 2021-05-10 | 2021-05-11 | $209.68 | $205.73 | -6.64% | 2 | |
| 2021-05-05 | 2021-05-07 | $223.65 | $224.12 | -1.69% | 3 | |
| 2021-04-13 | 2021-05-04 | $254.11 | $224.53 | -2.62% | 16 | |
| 2021-04-01 | 2021-04-12 | $220.58 | $233.99 | 0.92% | 7 | |
| 2021-03-26 | 2021-03-29 | $206.24 | $203.76 | -1.47% | 2 | |
| 2021-03-23 | 2021-03-24 | $220.72 | $210.09 | -0.56% | 2 | |
| 2021-02-17 | 2021-02-18 | $266.05 | $262.46 | 0.04% | 2 | |
| 2021-02-12 | 2021-02-16 | $272.04 | $265.41 | 0.35% | 2 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -5.45% | 2 | |
| 2020-11-17 | 2021-02-09 | $147.20 | $283.15 | 111.17% | 57 | |
| 2020-11-10 | 2020-11-11 | $136.79 | $139.04 | -2.78% | 2 | |
| 2020-11-06 | 2020-11-09 | $143.32 | $140.42 | -2.06% | 2 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.89% | 2 | |
| 2020-11-02 | 2020-11-03 | $133.50 | $141.30 | 3.01% | 2 | |
| 2020-10-21 | 2020-10-29 | $140.88 | $136.94 | -3.97% | 7 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2020-10-02 | 2020-10-14 | $138.36 | $153.77 | 0.34% | 9 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.29% | 2 | |
| 2020-08-13 | 2020-09-24 | $108.07 | $129.26 | 22.52% | 30 |